溫同學
2020-07-09 09:28Pierre- Louis Robert just purchased a call option on shares of the Michelin Group. A few days ago he wrote a put option on Michelin shares. The call and put options have the same exercise price, expiration date, and number of shares underlying. Considering both positions, Robert’s exposure to the risk of the stock of the Michelin Group is: A long. B short. C neutral. 我選擇的是C，因為首先投資人買的是看空期權，所以股價上漲，對于投資人是風險。但是隨后投資人買了看漲期權，如果股價上漲，那么看漲期權的收益能夠覆蓋看空期權，如果股價下跌，看空期權的收益覆蓋看漲期權。所以選擇C。 但是答案是A，解釋如下，不太明白，請您講解一下。 A is correct. Robert’s exposure to the risk of the stock of the Michelin Group is long. The exposure as a result of the long call position is long. The exposure as a result of the short put position is also long. Therefore, the combined exposure is long. 為什么看漲期權的風險敞口是long，不是short呢？
所屬：CFA Level I > Equity 視頻位置 相關試題
來源： 視頻位置 相關試題
1個回答
Vicky助教
2020-07-09 11:09
該回答已被題主采納
同學你好，
write指的是賣出的意思，即賣出看跌期權。
我們判斷風險敞口是看資產(chǎn)上漲有利還是下跌有利，上漲有利就是long
題目應當這樣理解，首先買入call option，對于標的資產(chǎn)是long exposure，因為未來可能買入標的資產(chǎn)。
其次對于short put option，對于標的資產(chǎn)也是long exposure，賣出一個看跌，就是不看好看跌，也是看漲。
兩個加總也都是long exposure
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